Related papers: Tax Bond Creation Using a Structural Model and its…
This paper addresses a critical inconsistency in models of the term structure of interest rates (TSIR), where zero-coupon bonds are priced under risk-neutral measures distinct from those used in equity markets. We propose a unified TSIR…
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices for the individual banks. To make the role of mutual…
This paper proposes a model of tax compliance and fiscal capacity grounded in universalization reasoning. Citizens partially internalize the consequences of concealment by imagining a world in which everyone acted similarly, linking their…
We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique classical solution to a parabolic differential equation with…
We introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond markets. We apply our results to the problem of…
In this paper, we present a probabilistic adaptation of an Assume/Guarantee contract formalism. For the sake of generality, we assume that the extended state machines used in the contracts and implementations define sets of runs on a given…
This paper presents a data-driven framework to improve the trustworthiness of US tax preparation software systems. Given the legal implications of bugs in such software on its users, ensuring compliance and trustworthiness of tax…
In this paper we formalize some foundation concepts and theorems of group theory in a variant of type theory called the Calculus of Constructions with Definitions. In this theory we introduce definition of a group, which is both general and…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
This paper provides a tutorial discussion on analyzing structural equation modelling (SEM). SEM can be regarded as regression models with observed and unobserved indicators, have been extensively applied to practical and fundamental…
In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are used to calibrate stochastic interest rate models, discount…
In regulatory proceedings, few issues are more hotly debated than the cost of capital. This article formalises the theoretical foundation of cost of capital estimation for regulatory purposes. Several common regulatory practices lack a…
In a market with stochastic interest rates, we consider an investor who can either (i) invest all if his money in a savings account or (ii) purchase zero-coupon bonds and invest the remainder of his wealth in a savings account. The…
In contemporary society, the effective utilization of public resources remains a subject of significant concern. A common issue arises from defectors seeking to obtain an excessive share of these resources for personal gain, potentially…
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper num\'eraire and classical valuation rules can be formulated. It is shown when…
Bond prices are a reflection of extremely complex market interactions and policies, making prediction of future prices difficult. This task becomes even more challenging due to the dearth of relevant information, and accuracy is not the…
This paper shows how we can build a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we are able to redefine concepts like account…
The hypothesis that committed revolving credit lines with fixed spreads can provide firms with interest rate insurance is a standard feature of models on these credit facilities' interest rate structure. Nevertheless, this hypothesis has…
Recent studies document strong empirical support for multifactor models that aim to explain the cross-sectional variation in corporate bond expected excess returns. We revisit these findings and provide evidence that common factor pricing…
A generalized set theory (GST) is like a standard set theory but also can have non-set structured objects that can contain other structured objects including sets. This paper presents Isabelle/HOL support for GSTs, which are treated as type…